N-Q 1 form113.htm FORM N-Q form113.htm - Generated by SEC Publisher for SEC Filing

 

 

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C.  20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY

Investment Company Act file number

811-6325

 

 

 

Dreyfus Midcap Index Fund, Inc.

 

 

(Exact name of Registrant as specified in charter)

 

 

 

 

 

 

c/o The Dreyfus Corporation

200 Park Avenue

New York, New York  10166

 

 

(Address of principal executive offices)        (Zip code)

 

 

 

 

 

Michael A. Rosenberg, Esq.

200 Park Avenue

New York, New York  10166

 

 

(Name and address of agent for service)

 

 

Registrant's telephone number, including area code: 

(212) 922-6000

 

 

Date of fiscal year end:

 

  10/31

 

Date of reporting period:

  01/31/2011

 

             

 

-1- 

 

 

 

FORM N-Q

Item 1.                        Schedule of Investments.

-2- 

 

 

STATEMENT OF INVESTMENTS     
Dreyfus Midcap Index Fund, Inc.     
January 31, 2011 (Unaudited)     
 
Common Stocks--97.5%  Shares  Value ($) 
Consumer Discretionary--13.5%     
99 Cents Only Stores  98,957a  1,474,459 
Aaron's  160,148b  3,073,240 
Advance Auto Parts  184,402  11,790,664 
Aeropostale  202,096a  4,874,556 
American Eagle Outfitters  427,507  6,181,751 
American Greetings, Cl. A  85,883  1,866,238 
AnnTaylor Stores  127,829a,b  2,827,577 
Ascena Retail Group  150,041a  4,067,612 
Bally Technologies  117,971a  4,828,553 
Barnes & Noble  88,705b  1,397,104 
Bob Evans Farms  65,972  2,076,799 
BorgWarner  249,320a  16,804,168 
Boyd Gaming  119,011a,b  1,290,079 
Brinker International  207,688  4,886,899 
Career Education  145,156a,b  3,257,301 
Cheesecake Factory  131,479a  3,879,945 
Chico's FAS  391,673  4,277,069 
Chipotle Mexican Grill  67,983a  14,882,838 
Collective Brands  140,270a  2,855,897 
Deckers Outdoor  84,444a  6,197,345 
Dick's Sporting Goods  194,577a  7,022,284 
Dollar Tree  277,266a  14,024,114 
DreamWorks Animation SKG, Cl. A  156,901a  4,404,211 
Eastman Kodak  590,947a,b  2,162,866 
Foot Locker  344,127  6,146,108 
Fossil  115,212a  8,185,813 
Gentex  308,233  9,885,032 
Guess?  139,371  5,962,291 
Hanesbrands  209,974a  4,833,601 
Harte-Hanks  86,448  1,078,007 

 

 

International Speedway, Cl. A  66,186  1,914,761 
ITT Educational Services  60,236a,b  3,965,938 
J Crew Group  140,316a  6,092,521 
John Wiley & Sons, Cl. A  101,012  4,641,501 
KB Home  160,710b  2,384,936 
Lamar Advertising, Cl. A  124,607a  4,590,522 
Life Time Fitness  90,734a,b  3,618,472 
LKQ  316,827a  7,654,540 
Matthews International, Cl. A  65,923  2,336,311 
MDC Holdings  81,966  2,533,569 
Meredith  79,997  2,695,899 
Mohawk Industries  123,637a,b  6,868,035 
New York Times, Cl. A  259,750a,b  2,626,073 
NVR  12,781a,b  9,777,465 
Office Depot  608,948a  3,196,977 
Panera Bread, Cl. A  68,011a  6,499,131 
PetSmart  259,357  10,436,526 
Phillips-Van Heusen  145,672  8,502,875 
Polaris Industries  74,318  5,716,541 
Regis  124,294b  2,083,167 
Rent-A-Center  143,153b  4,257,370 
Ryland Group  95,233  1,695,147 
Saks  353,046a,b  4,137,699 
Scholastic  54,136  1,609,463 
Scientific Games, Cl. A  144,674a  1,493,036 
Service Corporation International  539,865  4,680,630 
Sotheby's  148,134  5,969,800 
Strayer Education  30,459b  3,655,080 
Thor Industries  92,553  3,439,269 
Timberland, Cl. A  88,137a  2,355,902 
Toll Brothers  314,919a  6,373,961 
Tractor Supply  160,099  8,214,680 
Tupperware Brands  138,831  6,351,518 
Under Armour, Cl. A  76,976a,b  4,607,783 
Warnaco Group  97,403a  4,975,345 
Wendy's/Arby's Group, Cl. A  704,953  3,404,923 
Williams-Sonoma  233,835b  7,529,487 

 

 

WMS Industries  126,348a  5,300,299 
    344,681,573 
Consumer Staples--3.4%     
Alberto-Culver  188,289  7,013,765 
BJ's Wholesale Club  119,816a  5,264,715 
Church & Dwight  156,152  10,744,819 
Corn Products International  165,288  7,624,735 
Energizer Holdings  154,883a  11,266,189 
Flowers Foods  169,267  4,270,606 
Green Mountain Coffee Roasters  254,278a,b  8,538,655 
Hansen Natural  151,710a  8,592,854 
Lancaster Colony  42,317b  2,351,556 
Ralcorp Holdings  120,610a  7,381,332 
Ruddick  92,675b  3,123,148 
Smithfield Foods  364,455a  7,256,299 
Tootsie Roll Industries  53,707b  1,485,536 
Universal  53,272b  2,018,476 
    86,932,685 
Energy--6.0%     
Arch Coal  356,889  12,223,448 
Atwood Oceanics  123,413a  4,988,353 
Bill Barrett  101,765a,b  4,170,330 
Cimarex Energy  185,879  19,355,580 
Comstock Resources  102,637a,b  2,843,045 
Dril-Quip  74,644a  5,756,545 
Exterran Holdings  137,421a,b  3,409,415 
Forest Oil  247,615a  9,607,462 
Frontier Oil  230,061a  4,785,269 
Helix Energy Solutions Group  228,849a  2,837,728 
Oceaneering International  118,383a  9,142,719 
Overseas Shipholding Group  57,565b  1,913,461 
Patriot Coal  174,361a,b  4,563,027 
Patterson-UTI Energy  337,754  7,883,178 
Plains Exploration & Production  307,039a  10,869,181 
Pride International  385,960a  12,543,700 
Quicksilver Resources  257,763a  3,869,023 
SM Energy  136,853  8,506,782 

 

 

Southern Union  273,864  7,317,646 
Superior Energy Services  172,686a  6,064,732 
Tidewater  113,755b  6,767,285 
Unit  86,828a  4,445,594 
    153,863,503 
Financial--19.6%     
Affiliated Managers Group  113,164a  11,523,490 
Alexandria Real Estate Equities  121,369c  9,350,268 
AMB Property  369,836c  12,407,998 
American Financial Group  172,560  5,613,377 
Apollo Investment  424,406  5,005,869 
Arthur J. Gallagher & Co.  232,651  6,905,082 
Aspen Insurance Holdings  168,505  5,063,575 
Associated Banc-Corp  380,012  5,312,568 
Astoria Financial  180,476  2,569,978 
BancorpSouth  159,720b  2,498,021 
Bank of Hawaii  105,659  4,952,237 
BRE Properties  139,659c  6,235,774 
Brown & Brown  257,319  6,371,218 
Camden Property Trust  150,476c  8,340,885 
Cathay General Bancorp  170,509  2,951,511 
City National  101,003  5,836,963 
Commerce Bancshares  168,830  6,943,978 
Corporate Office Properties Trust  146,694c  5,361,666 
Cousins Properties  223,536c  1,904,527 
Cullen/Frost Bankers  133,667b  7,723,279 
Duke Realty  548,695c  7,517,122 
East West Bancorp  320,366  6,955,146 
Eaton Vance  259,736  7,870,001 
Equity One  100,253b,c  1,869,718 
Essex Property Trust  68,561b,c  7,953,076 
Everest Re Group  123,072  10,372,508 
Federal Realty Investment Trust  135,084c  10,864,806 
Fidelity National Financial, Cl. A  497,936  6,697,239 
First American Financial  228,013  3,536,482 
First Niagara Financial Group  456,256b  6,332,833 
FirstMerit  238,768  4,374,230 

 

 

Fulton Financial  432,563  4,464,050 
Greenhill & Co.  54,942b  3,814,074 
Hanover Insurance Group  98,802  4,673,335 
HCC Insurance Holdings  252,328  7,640,492 
Highwoods Properties  155,736b,c  5,103,469 
Hospitality Properties Trust  271,629c  6,755,413 
International Bancshares  115,733b  2,195,455 
Jefferies Group  271,557b  6,791,641 
Jones Lang LaSalle  93,600  8,296,704 
Liberty Property Trust  250,561c  8,712,006 
Macerich  285,736c  13,903,914 
Mack-Cali Realty  174,309c  6,104,301 
Mercury General  78,213  3,320,142 
MSCI, Cl. A  260,666a  8,922,597 
Nationwide Health Properties  276,736c  10,391,437 
New York Community Bancorp  956,412  17,521,468 
NewAlliance Bancshares  231,742  3,464,543 
Old Republic International  564,973  6,909,620 
Omega Healthcare Investors  215,520b,c  4,801,786 
PacWest Bancorp  68,488  1,351,268 
Potlatch  87,187c  3,238,997 
Prosperity Bancshares  102,313  4,138,561 
Protective Life  188,141  5,187,047 
Raymond James Financial  218,402  7,910,520 
Rayonier  176,824c  10,469,749 
Realty Income  257,032b,c  8,985,839 
Regency Centers  179,608b,c  7,742,901 
Reinsurance Group of America  160,792  9,255,188 
SEI Investments  319,302  7,391,841 
Senior Housing Properties Trust  305,553c  6,850,498 
SL Green Realty  171,818b,c  12,501,478 
StanCorp Financial Group  103,757  4,628,600 
SVB Financial Group  92,091a,b  4,832,015 
Synovus Financial  1,709,177b  4,512,227 
Taubman Centers  120,079  6,286,136 
TCF Financial  276,520b  4,131,209 
Transatlantic Holdings  139,325  7,168,271 

 

 

Trustmark  123,455b  2,961,685 
UDR  399,444c  9,378,945 
Unitrin  108,654  2,923,879 
Valley National Bancorp  353,827b  4,787,279 
W.R. Berkley  266,356  7,524,557 
Waddell & Reed Financial, Cl. A  187,837  6,784,672 
Washington Federal  247,262  4,275,160 
Webster Financial  160,955  3,682,650 
Weingarten Realty Investors  264,329c  6,481,347 
Westamerica Bancorporation  64,160  3,208,000 
    499,592,391 
Health Care--10.9%     
Allscripts Healthcare Solutions  416,057a  8,782,963 
Beckman Coulter  152,587  10,987,790 
Bio-Rad Laboratories, Cl. A  42,325a  4,608,346 
Charles River Laboratories     
International  129,473a  4,965,290 
Community Health Systems  207,192a  7,276,583 
Covance  142,308a,b  8,023,325 
Edwards Lifesciences  250,589a  21,122,147 
Endo Pharmaceuticals Holdings  252,384a  8,384,196 
Gen-Probe  106,372a  6,689,735 
Health Management Associates,    
  Cl.A  549,703a  5,002,297 
Health Net  213,038a  6,077,974 
Henry Schein  202,509a  13,296,741 
Hill-Rom Holdings  138,269  5,595,746 
Hologic  570,559a  11,365,535 
IDEXX Laboratories  126,786a,b  9,090,556 
Immucor  152,908a  3,022,991 
Kindred Healthcare  86,422a  1,616,956 
Kinetic Concepts  136,615a  6,302,050 
LifePoint Hospitals  120,396a  4,237,939 
Lincare Holdings  216,890  5,866,875 
Masimo  127,774  3,830,026 
Medicis Pharmaceutical, Cl. A  131,240  3,337,433 
Mednax  104,605a  6,919,621 

 

 

Mettler-Toledo International  72,968a  10,886,096 
Omnicare  258,265  6,694,229 
Owens & Minor  138,401  4,086,982 
Perrigo  182,208  13,253,810 
Pharmaceutical Product Development  260,880  7,602,043 
Resmed  331,551a,b  10,440,541 
STERIS  128,981  4,491,118 
Techne  82,041  5,656,727 
Teleflex  87,485  5,014,640 
Thoratec  127,587a  3,009,777 
United Therapeutics  109,828a  7,466,107 
Universal Health Services, Cl. B  213,590  8,992,139 
VCA Antech  188,083a,b  4,310,862 
Vertex Pharmaceuticals  446,158a  17,351,085 
WellCare Health Plans  92,176a  2,756,062 
    278,415,333 
Industrial--15.6%     
Acuity Brands  94,958  5,241,682 
Aecom Technology  259,605a  7,598,638 
AGCO  203,588a  10,321,912 
AirTran Holdings  292,575a  2,162,129 
Alaska Air Group  80,617a  4,775,751 
Alexander & Baldwin  89,402  3,586,808 
Alliant Techsystems  72,668  5,505,328 
AMETEK  351,515  14,334,782 
BE Aerospace  224,999a  8,705,211 
Brink's  104,014  2,808,378 
Bucyrus International  177,920  16,148,019 
Carlisle  132,475  4,995,632 
Clean Harbors  49,782a  4,482,371 
Con-way  120,082b  4,085,190 
Copart  130,832a,b  5,135,156 
Corporate Executive Board  75,835  2,946,948 
Corrections Corp. of America  241,667a  5,995,758 
Crane  102,847  4,567,435 
Deluxe  113,971  2,786,591 
Donaldson  168,018b  9,845,855 

 

 

FTI Consulting  102,175a  3,726,322 
Gardner Denver  115,225  8,312,332 
GATX  100,423  3,339,065 
Graco  132,109  5,611,990 
Granite Construction  73,129  1,889,653 
Harsco  176,665  5,700,980 
Herman Miller  124,208  2,997,139 
HNI  98,634  2,992,556 
Hubbell, Cl. B  131,520  8,054,285 
IDEX  179,808  7,131,185 
JB Hunt Transport Services  194,910  7,991,310 
JetBlue Airways  440,707a,b  2,644,242 
Joy Global  226,791  19,771,639 
Kansas City Southern  225,360a  11,263,493 
KBR  341,424  10,959,710 
Kennametal  179,485  7,287,091 
Kirby  118,338a  5,531,118 
Korn/Ferry International  103,065a  2,411,721 
Landstar System  110,414  4,574,452 
Lennox International  100,199  4,923,779 
Lincoln Electric Holdings  93,777  6,350,578 
Manpower  178,851  11,548,409 
Mine Safety Appliances  67,648  2,109,265 
MSC Industrial Direct, Cl. A  97,370  5,786,699 
Navigant Consulting  108,278a  1,103,353 
Nordson  74,239  6,853,002 
Oshkosh  199,172a  7,550,611 
Pentair  216,701  7,838,075 
Regal-Beloit  84,150  5,616,171 
Rollins  142,328  2,702,809 
Shaw Group  186,479a  7,043,312 
SPX  109,713  8,599,305 
Terex  238,410a  7,731,636 
Thomas & Betts  115,642a  5,942,842 
Timken  176,909  8,318,261 
Towers Watson & Co., Cl. A  98,641  5,378,894 
Trinity Industries  174,157b  4,857,239 

 

 

United Rentals  135,168a  3,602,227 
URS  183,431a  8,153,508 
Valmont Industries  46,470  4,318,922 
Wabtec  104,781b  5,679,130 
Waste Connections  254,875  7,383,729 
Watsco  61,050  3,829,056 
Werner Enterprises  95,593  2,356,367 
Woodward  130,041  4,385,633 
    398,182,669 
Information Technology--15.4%     
ACI Worldwide  73,623a  1,950,273 
Acxiom  175,915a  3,031,015 
ADTRAN  138,406  5,692,639 
Advent Software  70,210a,b  2,075,408 
Alliance Data Systems  114,998a,b  8,134,959 
ANSYS  199,843a  10,481,765 
AOL  234,423a  5,513,629 
Arrow Electronics  257,520a  9,734,256 
Atmel  1,003,025a  13,580,958 
Avnet  333,746a  11,888,033 
Broadridge Financial Solutions  277,645  6,355,294 
Cadence Design Systems  585,851a  5,085,187 
Ciena  205,271a,b  4,522,120 
Concur Technologies  98,453a  5,024,057 
Convergys  268,225a  3,819,524 
CoreLogic  228,005  4,571,500 
Cree  238,050a,b  12,019,144 
Diebold  145,739b  4,468,358 
Digital River  86,465a,b  2,744,399 
DST Systems  78,696  3,742,782 
Equinix  100,933a  8,924,496 
FactSet Research Systems  101,788b  10,260,230 
Fair Isaac  91,456b  2,321,153 
Fairchild Semiconductor     
   International  276,539a  4,922,394 
Gartner  160,197a  5,674,178 
Global Payments  174,292  8,233,554 

 

 

Informatica  205,719a,b  9,545,362 
Ingram Micro, Cl. A  343,091a  6,772,616 
Integrated Device Technology  346,689a  2,211,876 
International Rectifier  155,462a  4,979,448 
Intersil, Cl. A  270,417b  4,088,705 
Itron  88,446a  5,131,637 
Jack Henry & Associates  187,963  5,556,186 
Lam Research  271,409a  13,540,595 
Lender Processing Services  203,516  6,459,598 
ManTech International, Cl. A  49,660a  1,996,580 
Mentor Graphics  240,283a  3,060,004 
MICROS Systems  176,932a  8,092,870 
National Instruments  128,211  5,424,607 
NCR  350,075a  5,741,230 
NeuStar, Cl. A  162,306a  4,354,670 
Parametric Technology  258,363a  5,743,409 
Plantronics  105,924  3,749,710 
Polycom  187,455a  8,219,902 
QLogic  231,711a  4,126,773 
Quest Software  136,046a  3,512,708 
Rackspace Hosting  213,062a,b  7,139,708 
RF Micro Devices  602,164a  4,046,542 
Riverbed Technology  321,765a  11,541,711 
Rovi  230,566a  14,239,756 
Semtech  136,785a  2,986,700 
Silicon Laboratories  97,590a  4,340,803 
Skyworks Solutions  401,535a  12,756,767 
Solera Holdings  153,788  8,047,726 
SRA International, Cl. A  96,373a  2,571,232 
Synopsys  326,152a  8,848,504 
Tech Data  102,278a  4,797,861 
TIBCO Software  366,116a  8,047,230 
Trimble Navigation  263,586a  12,146,043 
ValueClick  180,562a,b  2,529,674 
Vishay Intertechnology  368,428a  6,079,062 
Zebra Technologies, Cl. A  124,049a  4,825,506 
    392,024,616 

 

 

Materials--6.8%     
Albemarle  201,086  11,292,990 
AptarGroup  147,410  7,084,525 
Ashland  173,039  10,046,644 
Cabot  143,672  6,213,814 
Carpenter Technology  95,864  3,944,804 
Commercial Metals  250,840  4,194,045 
Compass Minerals International  71,281  6,548,585 
Cytec Industries  107,332  5,853,887 
Greif, Cl. A  68,327  4,308,017 
Intrepid Potash  96,446a,b  3,485,558 
Louisiana-Pacific  288,652a  2,898,066 
Lubrizol  147,414  15,841,108 
Martin Marietta Materials  99,966b  8,347,161 
Minerals Technologies  41,747  2,630,896 
NewMarket  21,868  2,774,174 
Olin  172,063  3,350,067 
Packaging Corp. of America  226,641  6,402,608 
Reliance Steel & Aluminum  163,699  8,559,821 
Rock-Tenn, Cl. A  85,021b  5,675,152 
RPM International  284,957  6,676,543 
Scotts Miracle-Gro, Cl. A  100,862  5,211,540 
Sensient Technologies  109,025  3,697,038 
Silgan Holdings  109,998  4,106,225 
Sonoco Products  225,639  8,021,466 
Steel Dynamics  476,416  8,670,771 
Temple-Inland  236,526  5,674,259 
Valspar  215,271  8,044,677 
Worthington Industries  125,412  2,382,828 
    171,937,269 
Telecommunication Services--.5%     
Telephone & Data Systems  202,816  7,250,672 
TW Telecom  330,613a  5,670,013 
    12,920,685 
Utilities--5.8%     
AGL Resources  170,748  6,266,452 
Alliant Energy  243,448  9,046,528 

 

 

Aqua America  299,922b  6,934,197 
Atmos Energy  197,305  6,432,143 
Black Hills  84,619  2,624,035 
Cleco  132,934  4,155,517 
DPL  259,980  6,806,276 
Dynegy  228,939a,b  1,440,026 
Energen  158,000  8,832,200 
Great Plains Energy  297,846  5,861,609 
Hawaiian Electric Industries  206,514b  5,142,199 
IDACORP  107,615  4,021,573 
MDU Resources Group  413,420  8,776,907 
National Fuel Gas  180,493  12,334,892 
NSTAR  226,586b  9,829,301 
NV Energy  516,946  7,428,514 
OGE Energy  214,019  9,821,332 
PNM Resources  188,560  2,456,937 
Questar  382,142  6,660,735 
UGI  242,487  7,601,967 
Vectren  178,442b  4,726,929 
Westar Energy  244,352b  6,230,976 
WGL Holdings  110,622b  3,989,029 
    147,420,274 
Total Common Stocks     
(cost $2,009,247,708)    2,485,970,998 
  Principal   
Short-Term Investments--.1%  Amount ($)  Value ($) 
U.S. Treasury Bills     
0.13%, 3/24/11     
(cost $4,504,145)  4,505,000d  4,504,095 
 
Other Investment--2.3%  Shares  Value ($) 
Registered Investment Company;     
Dreyfus Institutional Preferred     
Plus Money Market Fund     
(cost $58,118,000)  58,118,000e  58,118,000 
 
Investment of Cash Collateral for     

 

 

Securities Loaned--6.4%     
Registered Investment Company;     
Dreyfus Institutional Cash     
Advantage Plus Fund     
(cost $162,996,655)  162,996,655e  162,996,655 
 
Total Investments (cost $2,234,866,508)  106.3%  2,711,589,748 
Liabilities, Less Cash and Receivables  (6.3%)  (161,408,199) 
Net Assets  100.0%  2,550,181,549 

 

a Non-income producing security. 
b Security, or portion thereof, on loan. At January 31, 2011, the market value of the fund's securities on loan was $159,576,612 
and the market value of the collateral held by the fund was $163,195,484, consisting of cash collateral of $162,996,655 and 
U.S. Government and Agency securities valued at $198,829. 
c Investment in real estate investment trust. 
d Held by a broker as collateral for open financial futures positions. 
e Investment in affiliated money market mutual fund. 

 

At January 31, 2011, the aggregate cost of investment securities for income tax purposes was $2,234,866,508.

Net unrealized appreciation on investments was $476,723,240 of which $626,467,196 related to appreciated investment securities and $149,743,956 related to depreciated investment securities.

Portfolio Summary (Unaudited) †  Value (%) 
Financial  19.6 
Industrial  15.6 
Information Technology  15.4 
Consumer Discretionary  13.5 
Health Care  10.9 
Short-Term/Money Market Investments  8.8 
Materials  6.8 
Energy  6.0 
Utilities  5.8 
Consumer Staples  3.4 
Telecommunication Services  .5 
  106.3 

 

† Based on net assets. 

 

 

See notes to financial statements.           
 
STATEMENT OF FINANCIAL FUTURES           
January 31, 2011 (Unaudited)           
 
 
    Market Value    Unrealized  
    Covered by    Appreciation  
  Contracts  Contracts ($)  Expiration  at 1/31/2011 ($) 
Financial Futures Long           
Standard & Poor's Midcap 400 E-mini  722  66,647,820  March 2011  575,560  

 

 

Various inputs are used in determining the value of the fund's investments relating to fair value measurements.

These inputs are summarized in the three broad levels listed below.

Level 1 - unadjusted quoted prices in active markets for identical investments.
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds,
credit risk, etc.).
Level 3 - significant unobservable inputs (including the fund's own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of January 31, 2011 in valuing the fund's investments:

  Level 1 - Unadjusted Quoted  Level 2 - Other Significant  Level 3 -Significant   
Assets ($)  Prices  Observable Inputs  Unobservable Inputs  Total 
Investments in Securities:         
Equity Securities - Domestic+  2,485,970,998  -  -  2,485,970,998 
Mutual Funds  221,114,655  -  -  221,114,655 
U.S. Treasury  -  4,504,095  -  4,504,095 
Other Financial Instruments:         
Futures++  575,560  -  -  575,560 
+ See Statement of Investments for additional detailed categorizations.         
++ Amount shown represents unrealized appreciation at period end.         

 

 

The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund's financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.

Portfolio valuation: Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices, except for open short positions, where the asked price is used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. When market quotations or official closing prices are not readily available, or are determined not to reflect accurately fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board of Directors.

Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures contracts. For other securities that are fair valued by the Board of Directors, certain factors may be considered such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. Financial futures are valued at the last sales price.

 

Pursuant to a securities lending agreement with The Bank of New York Mellon, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Manager, U.S. Government and Agency securities or letters of credit. The fund is entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the fund bears the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner.

The provisions of ASC Topic 815 “Derivatives and Hedging” require qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements. The disclosure requirements distinguish between derivatives, which are accounted for as “hedges” and those that do not qualify for hedge accounting. Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statement of Operations, they do not qualify for such accounting. Accordingly, even though a fund’s investments in derivatives may represent economic hedges, they are considered to be non-hedge transactions for purposes of this disclosure.

Futures Contracts: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity risk as a result of changes in value of underlying financial instruments. The fund invests in financial futures contracts in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a broker, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject

 

to change. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. Futures contracts are valued daily at the last sales price established by the Board of Trade or exchange upon which they are traded. When the contracts are closed, the fund recognizes a realized gain or loss. There is minimal counterparty credit risk to the fund with futures since futures are exchange traded, and the exchange’s clearinghouse guarantees the futures against default.

Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the Securities and Exchange Commission on Form N-CSR.

 

 

Item 2.                        Controls and Procedures.

(a)        The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-Q is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b)        There were no changes to the Registrant's internal control over financial reporting that occurred during the Registrant's most recently ended fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. 

Item 3.                        Exhibits.

(a)        Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.

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FORM N-Q

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.

Dreyfus Midcap Index Fund, Inc.

By:       /s/ Bradley J. Skapyak

            Bradley J. Skapyak

            President

 

Date:    March 25, 2011

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By:       /s/ Bradley J. Skapyak

            Bradley J. Skapyak

            President

 

Date:    March 25, 2011

 

By:       /s/ James Windels

            James Windels

            Treasurer

 

Date:    March 25, 2011

 

EXHIBIT INDEX

(a)        Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.  (EX-99.CERT)

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